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Home > Education and Museum > CCBS Technical Handbook No. 5 - Deriving option-implied probability densities for foreign exchange markets
 

CCBS Technical Handbook No. 5 - Deriving option-implied probability densities for foreign exchange markets

29 June 2015

Technical Handbook No.5
by Andrew Blake and Garreth Rule

 
This Handbook describes an important part of the Empirical Finance for Monetary Policy course run at CCBS for the past few years – the use of options prices to estimate riskneutral forecast densities for financial market prices. Central banks around the world make routine use of this rich set of forecast information, so that not just the most likely outcome can be assessed, but also the market assessment of any potential skewness in the density.
 
 


 

 


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